O mercado de câmbio e a taxa de câmbio na economia brasileira: 1999 a 2007

• Ano de defesa: 2008
• Autor(a) principal: Cassuce, Francisco Carlos da Cunha
• Orientador(a): Campos, Antônio Carvalho
• Banca de defesa: Rocha, Luiz Eduardo de Vasconcelos , Silva, Orlando Monteiro da , Lírio, Viviani Silva , Fontes, Rosa Maria Olivera
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Viçosa
• Programa de Pós-Graduação: Doutorado em Economia Aplicada
• Departamento: Economia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos Recursos
• País: BR
• Palavras-chave em Português: Taxa de câmbio; Viés no mercado de câmbio; Simultaneidade
• Palavras-chave em Inglês: Exchange rate; Market exchange; Simultaneity
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIA INTERNACIONAL
• Link de acesso: http://locus.ufv.br/handle/123456789/104

The process of commercial opening and flexible of capital account, started in the 1990 s, ally to the adoption of a regimen of floating change, since of January of 1999 and transformed the tax of change in one of the main Brazilian economic variables. Faced with that, this work analyzed the impacts of variations in the tax of change on the other economic variables as interest rates internal, liquid exportations, internal prices, and value of the production. It becomes more interesting, when it s considered that in the period of analyze of January of 1999 to March of 2007, invigorated a regimen of floating change. The results presented by the political monetary, and fiscal in that regimen would be differentiated to the others that would occur in a regimen of controlled change, that invigorated, practically, in the last fifty years in the Brazilian economy. However, the Brazilian exchange market can present some bias that would be generated, for example, by the existence of a prize of significantly volatile exchange risk, the occurrence of error and shunting of the rational expectations and the simultaneity between the interest rates internal and the tax of change. Send asset, it was verified the existence of each one of those bias, concluding that only of the simultaneity bias occurred in the period. The result, ally to the agents of the market of Brazilian change form his expectations rationally, and it was possible to conclude that the consideration of the simultaneity between the tax of change and the interest rates internal, the Brazilian exchange market would be being efficient in the period analyzed. To eliminate of the simultaneity bias, was utilized the methodology of simultaneous equations considering the Two-Stage Least Squares Estimator. In short, the result that refers to the verification of the bias in the market of change enabled to conclude that the prize of exchange risk exists, in the period of analyze, but he doesn t vary significantly to the point to influence the determination of the tax of change. And it wasn t possible reject the hypothesis that the agents of the market of change act in a rational way. Still occurring governmental interventions in that market, verified by the estimate of an index of intervention for period analyzed, the information that refer to those interventions were assimilated by the agents in a way to eliminate this bias. It was remained only the simultaneity bias that was eliminated by the estimation by Two-Stage Least Squares. Incorporating the information of simultaneously, it was estimated a monetary model containing the equations of parity discovered by the interest, of the equilibrium in the market of currency, and property, of the parity of the power of purchase, and of the liquid exportations for the period of January of 1999 to March of 2007. Then, simulations were realized, and were enabled to conclude that variations in the tax of change affect significantly the level of the interest rate internal, of the liquid exportations, and consequently, of the Brazilian production. And it was possible to observe that the political monetary, represented by variations in the interest rate had bigger influence on the production than political fiscal. The work enabled to verify also, that although the liquid exportations have been the main responsible for the growth of the Brazilian economy in the period, his effects practically were annulled by the high interest rate practiced, and that small reductions in the interest rate internal are capable to generate a stimulus considerably bigger on the growth of the production, if it is compared with variations of same magnitude on the liquid exportations.